Heh. I'll add some fuel to the fire because I had to go and do it all "wrong".
I'd say to go through the class first unless:
1) You are very patient
2) You can find someone who knows what they are doing who can coach you a little bit (and you already have some experience, even welding MIG poorly helped me a little, but I was originally taught the very basics of MIG by an Uncle who was a "jack of all trades" who was good enough to work in this country as a weldor/fabricator although he was an auto mechanic overseas)
3) You don't have time to commit to the class because you already have a ton of other things but you have the disposable income to buy good equipment and all the necessary supplies yourself. Having said that, even with all that, it's still cheaper to bit the bullet and invest the time into the class (I'm still wishing I could take the class but I just don't have the time although hearing that Alamance has classes may actually make it possible because Wake Tech isn't a possibility for me given commute time/current employment)
4) Most importantly - you are not right in the head ... yeah, that would be me

... and have this compulsion to do EVERYTHING yourself even if you have to scrap a ton of it and have grown to like unlearning/learning as you go along to progress to a goal
In other words, it can be done, but having gone through it (well, some of it, I'm pretty sure that Anders or Joel can probably weld circles around me), I would highly recommend against it. It's too frustrating, especially if you have projects waiting in line and you need at least some basic skills "yesterday".
My project(s) (aka the whole car) ended up going on the back-burner and is still there...I'm actually doing a cheap/small scale version of the "big project" to prepare for the "real thing", probably start on it towards the end of this season.
Continuing the story...I bought a welder because of necessity for the car project...well...a single project car that has multiple sub-projects and of course, the welder was a good deal (I had been shopping for a while and it popped up on e-bay at the right price and was about an hour's drive away, pretty hard to resist).
...so there I was with a fairly expensive arc generating device and so it sat for several months, stewing, until I was good and ready.
The first problem I had to overcome was that I needed to wire an additional circuit (which turned into an additional panel) in the garage, so make sure that you have those provisions setup beforehand if at all possible or that the 110V welder you are buying will have adequate power for the thickness of metals that you are going to be welding. That's pretty easy to do - just look at the specs of the welder and look at the things you are planning on welding. Re-wiring for 230V isn't terribly hard but it adds another step to the process...
Then I had to acquire gas for it...okay, shop around...find that buying a tank of gas works out best for a hobbyist (outlay of $120 or so and then refills are fairly cheap, like $20, IIRC). BTW - the welding supply place off Lease Ln in Raleigh (near K&E) has the best prices for hobbyists on stuff that I could find, although Chris may have another suggestion or better contacts since he has been doing this longer than all of us. National Welder's I found to be highly unfriendly in terms of quantities (i.e. they would only sell 10x the quantity of consumeables that I needed) and dollars for the same stuff, like gas, at least for a hobbyist "cash sale". Again, YMMV, and maybe I don't know the right people to talk to or right thing or way to ask for it.
After acquiring most of the basics and spending an inordinate amount of time and energy researching welding helmets, I was ready to go.
So, one evening, I hooked everything up and thus started learning the hard way, which is quite possibly the most expensive way to learn, not necessarily because of the machine/supplies, but because of how much you learn/progress per unit of time compared to what I think you probably would be able to do when in an classroom environment.
My next problem of course, was learning how to use the darned thing...I read and I read and the books and info I had were either too basic (Welding Essentials by William L., Jr. Galvery) or way too advanced at the time (Miller's TIG guide, free pdf's on their website). After significant seat time, the advanced stuff makes perfect sense to me. The rediculous part was how long it took to learn a few simple basic things that probably were covered in the first few hours of the course which would have made my life much easier. One mistake was not reading the welder's manual thoroughly and understanding how the different setting work - or rather, knowing what is normal for each process. I spent many hours with it setup "wrong" before I had one of those epiphanies at 2am (which of course required me to run down to the garage, change the settings and immediately see how much of a bonehead I was). Welding books are nice to talk about theory, setup, preparation, but I really think that having a live person explain the actual process and be able to look over your shoulder and give you feedback is the best way to learn.
That is probably the only good thing about doing it this way. You can schedule the learning experience around your schedule (many a time have I been up in the wee hours of the night pushing a pool of metal around) and you don't have to share with anyone (I dunno if it is a 1:1 ratio of students to machines at these classes).
While I strongly would advocate against it, I have to say it was rather rewarding to troubleshoot things, at least when I figured out how to overcome a major hurdle. A certain individual was extremely helpful in my times of frustration, they know who they are, and should they want recognition I'll be happy to give it.
BTW, I wouldn't and don't trust anything I do for any critical structure loads (rollcage, suspension members, etc). I still feel like I need to get better at it and then get someone to look over what I'm doing consistently to figure out if I've "got it" or need to modify what I'm doing. I may take the class if I ever can find the time but I seem to be "functional" for my current needs.
Regards,
--Ashraf